Because we're friends who enjoy RPGing together? That's always been my main reason.
As I already mentioned, I think Apocalypse World is the poster child for this.
The last time I ran Cthulhu Dark, I told the players I wanted us to play in late-Victorian England. Character creation consists in choosing a name and occupation: one player chose an American journalist visiting England, reporting on imperialism for a left-wing paper; the other chose a butler sent to London on an errand because his master was indisposed. I started with the journalist and introduced a mystery/lead; I then cut to the butler and introduced a different lead; then back to the journalist, where I had a fire start in the apartments he was visiting; and then to the butler, who - as it turned out - was next door to the fire. It didn't take long to intertwine the mystery of imperial dealings in Bohemia and East Africa and the mystery of the indisposed master: the point of intersection was were-hyenas. The two PCs crossed paths more than once, but never actually worked together.